RBC: “VXX Short Utilization Spiked To An Insane 95% Yesterday”

Jon Alternative Media, Blogosphere, Market Commentary

In his latest daily note, which does a fantastic job of exploring what the macro “big picture” looks like at this moment (more on that below), RBC’s head of cross-asset strat Charlie McElligott focuses on one of his favorite topics: random outlier moves in asset volatility and, specifically, the crowding of traders behind them. And with the VIX sliding below 10 yesterday for the first time since February 2007…
… and likely set to repeat that achievement today ahead of AAPL’s earnings, the RBC analyst does report some notable developments across the vol space, namely that once again everyone is piling into short inverse VIX ETFs, everyone perhaps also including pension funds.

This post was published at Zero Hedge on May 2, 2017.